Recent content by ErnstAugust

Wheat is pretty hard to follow nowadays.

There are several ways to be purely exposed to skew. Some of them can be approximated using particular option books that need to be dynamically adjusted. The question remains : is it worth the cost (wrt reward and risk associated)?

Awesome...

Ok. Thanks. It may be worth to take a look at the options market. Don't know how high IV can be for that underlying.

Coffee seems to be quite low, which kind of trade would you put on to take advantage of that situation. Outright / spread ?

Again, thank you TraDaTor. Great insight. Thank you George

Thank you TraDaTor for the details. I'm a very beginner, so sorry if the question sounds quite dumb, but if the full carry is hit does it make the spread useless / risky ?

Dont' know if it's worth to keep the trade on, but what makes you feel there's to much risk to stay in ?

Sorry, I wasn't specific enough, Short Jun19/Long Jul 19

Long HE LHN19/LHM19 @ -0.10

Short ZM Mar19/Dec19 @ 2

Did the same trade @ - 12 :cool:

To be honest that's those cases I would have got some insight ;).

As I said, things have changed since I've been involved in that kind of stuff. Maybe, American style made the whole things look different.

Thank you Secret Santa. Just two more points. - You discount the whole premium using OIS (?), and which carry cost would you use ? (what would you put in it, based on what ?) - Using proportional divs, you wont care about ex-div dates interval frequency ?